Browsing Computer Science by Supervisor "Forsyth, Peter"
Now showing items 1-2 of 2
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A General Neural Network Methodology for Multi-period Portfolio Optimization
(University of Waterloo, 2024-01-22)In this thesis, we propose a neural network methodology for solving the multi-period portfolio optimization problem. Our approach formulates the problem as a stochastic optimal control problem and uses a single neural ... -
Numerical Solutions of Two-factor Hamilton-Jacobi-Bellman Equations in Finance
(University of Waterloo, 2015-12-03)In this thesis, we focus on solving multidimensional HJB equations which are derived from optimal stochastic control problems in the financial market. We develop a fully implicit, unconditionally monotone finite difference ...